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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Bahram Pesaran

Publication Data

Title Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Author Bahram Pesaran
Contributors M. Hashem Pesaran, M. Hashem Pesaran
Publisher University of Cambridge, Faculty of Economics
Publication date 2007
Publication location Cambridge
Language English

Topics

Futures market :: Mathematical models

Catalogue Data

OBNB ID GBA767527
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book
Dewey Classification 332.645

ISBD

P1053 35 p.
P1042 Includes bibliographical references.

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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution by Bahram Pesaran. Published by University of Cambridge, Faculty of Economics in 2007. Publication and catalogue information, links to buy online and reader comments.